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No, you don't need to get all 24 of those cds. Just the first one will do, that's the one that has the installer and the basic system - the other 23 contain extra software packages that you can also download individually from the internet as the need arises.
Installing Debian shouldn't be all that complicated at all; just follow the instructions once the installer gets running. You just need to make sure that you choose custom partitioning - otherwise it will overwrite all of your HD.
What is the wrong type of internet connection? I'm afraid I don't really understand. If your connection doesn't allow downloading Debian, then it's unlikely you will be able to use internet with any Linux distribution... I don't see the difference between downloading an iso to your hard drive and burning it to cd to install or installing straight from the internet.
And of course, you can simply download the first cd and use that one to install; but if you want to add more packages later on, you do need internet connectivity. The other 23 cs are available primarily for people who haven't got internet at all.
"What types of network connections are supported during installation? The network install assumes that you have a connection to the Internet either using analogue PPP dial-up or using an ethernet connection. This may be through a PCMCIA adapter on laptops. Internal (PCI) ISDN cards and WLAN cards are not supported — sorry!":
So Linux fully works if i just burn that first cd? Great.